CreditIndexDefinitions.java

  1. package org.drip.sample.credit;

  3. import org.drip.market.otc.*;
  4. import org.drip.numerical.common.FormatUtil;
  5. import org.drip.service.env.EnvManager;

  7. /*
  8.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  9.  */

  11. /*!
  12.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>CreditIndexDefinitions</i> displays the Definitions of the CDX NA IG OTC Index CDS Contracts.
  86.  *  
  87.  * <br><br>
  88.  *  <ul>
  89.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  90.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  91.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
  92.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/cashflow/README.md">Single Name Portfolio CDS Analytics</a></li>
  93.  *  </ul>
  94.  * <br><br>
  95.  *
  96.  * @author Lakshmi Krishnamurthy
  97.  */

  99. public class CreditIndexDefinitions {

  101.     private static final void DisplayIndexConvention (
  102.         final String strFullIndexName)
  103.         throws Exception
  104.     {
  105.         CreditIndexConvention cic = CreditIndexConventionContainer.ConventionFromFullName (strFullIndexName);

  107.         System.out.println (
  108.             "\t| " + cic.fullName() +
  109.             " | " + cic.indexType() +
  110.             " | " + cic.indexSubType() +
  111.             " | " + cic.seriesName() +
  112.             " | " + cic.currency() +
  113.             " | " + cic.effectiveDate() +
  114.             " | " + cic.maturityDate() +
  115.             " | " + cic.frequency() +
  116.             " | " + cic.dayCount() +
  117.             " | " + FormatUtil.FormatDouble (cic.fixedCoupon(), 3, 0, 10000.) +
  118.             " | " + FormatUtil.FormatDouble (cic.recoveryRate(), 2, 0, 100.) +
  119.             "% | " + cic.numberOfConstituents() + " ||"
  120.         );
  121.     }

  123.     public static final void main (
  124.         final String[] astrArgs)
  125.         throws Exception
  126.     {
  127.         EnvManager.InitEnv ("");

  129.         String[] astrFullIndexName = new String[] {
  130.             "CDX.NA.IG.S15.5Y",
  131.             "CDX.NA.IG.S16.5Y",
  132.             "CDX.NA.IG.S17.5Y",
  133.             "CDX.NA.IG.S18.5Y",
  134.             "CDX.NA.IG.S19.5Y",
  135.             "CDX.NA.IG.S20.5Y",
  136.             "CDX.NA.IG.S21.5Y",
  137.             "CDX.NA.IG.S22.5Y",
  138.             "CDX.NA.IG.S23.5Y",
  139.             "CDX.NA.IG.S24.5Y",
  140.             "CDX.NA.IG.S25.5Y",
  141.             "CDX.NA.IG.S26.5Y"
  142.         };

  144.         System.out.println ("\n");

  146.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------||");

  148.         System.out.println ("\t|                                                                                                          ||");

  150.         System.out.println ("\t|                                      CDX NA IG OTC INDEX DEFINITIONS                                     ||");

  152.         System.out.println ("\t|                                                                                                          ||");

  154.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------||");

  156.         System.out.println ("\t|                                                                                                          ||");

  158.         System.out.println ("\t|    L -> R:                                                                                               ||");

  160.         System.out.println ("\t|                                                                                                          ||");

  162.         System.out.println ("\t|        - Full Name                                                                                       ||");

  164.         System.out.println ("\t|        - Index Type                                                                                      ||");

  166.         System.out.println ("\t|        - Index Sub-Type                                                                                  ||");

  168.         System.out.println ("\t|        - Series Name                                                                                     ||");

  170.         System.out.println ("\t|        - Currency                                                                                        ||");

  172.         System.out.println ("\t|        - Effective Date                                                                                  ||");

  174.         System.out.println ("\t|        - Maturity Date                                                                                   ||");

  176.         System.out.println ("\t|        - Coupon/Pay Frequency                                                                            ||");

  178.         System.out.println ("\t|        - Coupon/Pay Day Count                                                                            ||");

  180.         System.out.println ("\t|        - Fixed Coupon Strike (bp)                                                                        ||");

  182.         System.out.println ("\t|        - Fixed Recovery Rate                                                                             ||");

  184.         System.out.println ("\t|        - Number of Constituents                                                                          ||");

  186.         System.out.println ("\t|                                                                                                          ||");

  188.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------||");

  190.         for (String strFullIndexName : astrFullIndexName)
  191.             DisplayIndexConvention (strFullIndexName);

  193.         System.out.println ("\t|----------------------------------------------------------------------------------------------------------||");

  195.         System.out.println ("\n");

  197.         EnvManager.TerminateEnv();
  198.     }
  199. }
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